DOI10.1080/14697688.2013.828239zbMath1294.91183arXiv1207.6049MaRDI QIDQ2879019
Ioana Savescu, Alexander Lipton-Lifschitz
Publication date: 5 September 2014 Published in: Quantitative Finance (Search for Journal in Brave) Full work available at URL: https://arxiv.org/abs/1207.6049
zbMATH Keywords
credit; debt; finance; bilateral adjustment
Mathematics Subject Classification ID
91G20: Derivative securities (option pricing, hedging, etc.)
91G40: Credit risk